Volatility & Value-at-Risk In Minutes

What's in the report?

Standard-library analysis: how risky is this series? Map a date column and a price, value or return series and get the full risk picture — log and simple returns with each used where it belongs, rolling volatility with a stated window and annualization, historical and parametric Value-at-Risk at 95% and 99% with expected shortfall beside each one, the maximum drawdown with its peak date, trough date and recovery time, and a volatility-clustering diagnostic backed by an EWMA and a GARCH(1,1) fitted by direct maximum likelihood. The limits are computed rather than boilerplated: the excess kurtosis and the actual count of historical breaches beyond the normal model's prediction, the worst loss the sample has ever seen and the span it covers, and the measured gap between the first and second halves of the same history.